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arXiv · 2109.02030

Derivative Formula for Singular McKean-Vlasov SDEs

Feng-Yu Wang
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Abstract

The Bismut formula is established for the intrinsic derivative of singular McKean-Vlasov SDEs, where the noise coefficient belongs to a local Sobolev space, and the drift contains a locally integrable time-space term as well as a time-space-distribution term Lipschitz continuous in the space and distribution variables. The results are new also for classical SDEs.

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Feng-Yu Wang. 2021-09-05. Derivative Formula for Singular McKean-Vlasov SDEs. https://arxiv.org/abs/2109.02030

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